EGB May152013
Jul-14 Jul-15 Sep-16 Sep-17 Mar-19 Jul-20 Sep-21 Apr-22 Nov-22 Oct-23 Mar-26 Jul-27 May-34 Mar-37 Jun-44 Jan-62 Austria, 15-May-13 45 bp 35 bp 25 bp 15 bp 5 bp -5 bp -15 bp -25 bp -35 bp -45 bp -55 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel. +44-20-7034-9850
Austria, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) RAGB 4.3 07/15/14 15-Jul-14 1.2 0.018% -46.5-43.9-2.6 2.0-46.9-38.8-1.3 1.2 161 2.0-0.5 RAGB 3.4 10/20/14 20-Oct-14 1.4 0.042% -35.3-35.7 0.4 2.0-40.6-30.8 0.2 1.5 231 2.0-0.2 RAGB3 1/2 07/15/15 15-Jul-15 2.2 0.122% -30.9-34.1 3.3 2.9-44.0-30.3 1.1 2.3 412 1.9 0.2 RAGB 4 09/15/16 15-Sep-16 3.3 0.333% -22.9-24.9 1.9 2.4-31.6-20.5 0.8 3.6 740 1.8 0.6 RAGB 3.2 02/20/17 20-Feb-17 3.8 0.417% -20.5-21.1 0.6 2.4-27.0-15.3 0.2 4.0 874 1.8 0.7 RAGB 4.3 09/15/17 15-Sep-17 4.3 0.521% -18.9-19.2 0.3 2.4-25.0-13.8 0.1 4.7 998 1.7 0.9 RAGB 4.65 01/15/18 15-Jan-18 4.7 0.605% -15.8-18.3 2.6 2.9-25.3-11.0 0.9 5.1 1,100 1.7 1.0 RAGB 4.35 03/15/19 15-Mar-19 5.8 0.858% -9.7-12.7 3.0 3.4-22.4-3.5 0.9 6.3 1,400 1.6 1.1 RAGB 1.95 06/18/19 18-Jun-19 6.1 0.915% -9.6-11.5 1.9 3.1-21.1-3.3 0.6 6.1 1,494 1.5 1.1 RAGB 3.9 07/15/20 15-Jul-20 7.2 1.163% -0.8-3.0 2.2 3.3-13.4 4.4 0.7 7.6 1,703 1.4 1.3 RAGB3 1/2 09/15/21 15-Sep-21 8.3 1.382% 2.8 2.7 0.1 3.5-8.4 10.7 0.0 8.6 1,930 1.3 1.4 RAGB 3.65 04/20/22 20-Apr-22 8.9 1.508% 7.2 7.1 0.1 3.2-2.9 14.5 0.0 9.1 2,053 1.3 1.4 RAGB 3.4 11/22/22 22-Nov-22 9.5 1.600% 8.1 8.6-0.5 3.3-1.3 16.9-0.1 9.6 2,127 1.2 1.4 RAGB 1 3/4 10/20/23 20-Oct-23 10.4 1.760% 8.3 8.2 0.1 2.3 3.1 11.7 0.1 9.4 2,324 1.1 1.4 RAGB 4.85 03/15/26 15-Mar-26 12.8 1.994% 17.1 18.8-1.7 3.6 11.0 25.9-0.5 13.3 2,344 0.9 1.5 RAGB6 1/4 07/15/27 15-Jul-27 14.2 2.089% 21.8 22.5-0.7 3.9 14.3 30.5-0.2 15.7 2,305 0.8 1.5 RAGB 2.4 05/23/34 23-May-34 21.0 2.430% 15.1 19.4-4.3 4.6 11.5 25.6-0.9 16.3 2,186 0.2 1.1 RAGB 4.15 03/15/37 15-Mar-37 23.8 2.475% 24.8 30.5-5.8 3.9 20.8 38.8-1.5 21.1 1,946 0.1 1.1 RAGB 3.15 06/20/44 20-Jun-44 31.1 2.554% 22.9 28.9-6.0 3.6 19.8 35.3-1.7 23.0 1,527-0.2 0.9 RAGB 3.8 01/26/62 26-Jan-62 48.7 2.629% 20.8 31.0-10.2 5.0 18.5 39.3-2.0 33.5 3,748 0.7 0.8 1M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers
Jul-14 Jul-15 Sep-16 Sep-17 Mar-19 Jul-20 Sep-21 Apr-22 Nov-22 Oct-23 Mar-26 Jul-27 May-34 Mar-37 Jun-44 Jan-62 2.0bp 0.0bp -2.0bp 1M BES² (bp) 1M Roll-Down (bp) 1M Carry & RD (bp) Source: Bloomberg, Sunrise Brokers
Sep-14 Sep-15 Sep-16 Jun-17 Mar-18 Mar-19 Sep-19 Sep-20 Sep-21 Sep-22 Jun-23 Mar-26 Mar-28 Mar-32 Mar-35 Mar-41 Belgium, 15-May-13 105 bp 95 bp 85 bp 75 bp 65 bp 55 bp 45 bp 35 bp 25 bp 15 bp 5 bp -5 bp -15 bp -25 bp -35 bp -45 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel. +44-20-7034-9850
Belgium, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) BGB 4 1/4 09/28/14 28-Sep-14 1.4 0.082% -32.3-28.2-4.1 4.8-35.1-19.8-0.9 1.4 178 1.7-0.3 BGB 3 1/2 03/28/15 28-Mar-15 1.9 0.110% -28.3-25.7-2.7 4.7-32.9-15.8-0.6 1.9 297 1.8-0.1 BGB 8 03/28/15 28-Mar-15 1.9 0.109% -30.3-27.3-3.0 5.0-35.4-17.0-0.6 2.1 266 1.8-0.3 BGB 3 3/4 09/28/15 28-Sep-15 2.4 0.160% -28.5-23.8-4.6 5.2-31.9-14.2-0.9 2.5 435 1.9 0.1 BGB 2 3/4 03/28/16 28-Mar-16 2.9 0.288% -20.5-15.9-4.5 4.6-23.7-7.7-1.0 3.0 643 1.9 0.4 BGB 3 1/4 09/28/16 28-Sep-16 3.4 0.397% -16.2-11.2-5.0 4.7-20.7-1.3-1.1 3.5 820 2.0 0.7 BGB 4 03/28/17 28-Mar-17 3.9 0.560% -6.6-2.3-4.3 4.3-12.4 8.2-1.0 4.1 1,034 2.0 0.9 BGB 3 1/2 06/28/17 28-Jun-17 4.1 0.650% -1.2 1.5-2.7 4.3-8.6 12.3-0.6 4.3 1,159 2.0 1.1 BGB 5 1/2 09/28/17 28-Sep-17 4.4 0.673% -2.6-0.5-2.1 4.8-12.8 11.4-0.4 4.8 1,183 2.0 1.1 BGB 4 03/28/18 28-Mar-18 4.9 0.773% -1.1 1.3-2.5 5.0-11.8 14.0-0.5 5.2 1,376 2.0 1.1 BGB 1 1/4 06/22/18 22-Jun-18 5.1 0.903% 6.3 6.9-0.6 3.6-3.9 17.5-0.2 5.0 1,582 2.0 1.3 BGB 4 03/28/19 28-Mar-19 5.9 1.036% 8.7 10.0-1.2 5.4-5.5 23.3-0.2 6.2 1,730 2.0 1.3 BGB 3 09/28/19 28-Sep-19 6.4 1.191% 15.0 15.7-0.7 6.0-0.3 29.4-0.1 6.5 1,931 2.0 1.4 BGB 3 3/4 09/28/20 28-Sep-20 7.4 1.422% 23.2 25.6-2.3 6.6 8.9 39.0-0.4 7.6 2,185 1.9 1.6 BGB 4 1/4 09/28/21 28-Sep-21 8.4 1.654% 33.0 35.9-2.9 6.9 19.4 49.6-0.4 8.7 2,404 1.8 1.7 BGB 4 03/28/22 28-Mar-22 8.9 1.779% 37.8 40.6-2.8 6.2 25.1 52.8-0.5 9.0 2,537 1.7 1.7 BGB 4 1/4 09/28/22 28-Sep-22 9.4 1.904% 44.8 48.3-3.5 6.2 33.6 60.0-0.6 9.5 2,612 1.6 1.8 BGB 2 1/4 06/22/23 22-Jun-23 10.1 2.073% 43.5 47.0-3.5 5.2 34.7 56.4-0.7 9.1 2,847 1.5 1.7 BGB 4 1/2 03/28/26 28-Mar-26 12.9 2.402% 58.9 63.0-4.0 6.0 48.6 72.4-0.7 12.4 2,770 1.1 1.7 BGB 5 1/2 03/28/28 28-Mar-28 14.9 2.523% 63.3 67.2-3.9 6.2 52.7 78.8-0.6 14.9 2,553 0.7 1.7 BGB 4 03/28/32 28-Mar-32 18.9 2.802% 65.7 70.4-4.7 5.7 58.1 80.9-0.8 16.0 2,167 0.1 1.5 BGB 5 03/28/35 28-Mar-35 21.9 2.879% 77.3 83.9-6.6 6.7 69.3 95.7-1.0 19.5 2,016 0.0 1.4 BGB 4 1/4 03/28/41 28-Mar-41 27.9 3.032% 81.6 87.6-6.0 5.9 74.3 98.1-1.0 21.4 3,910 1.0 1.3 1M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers
Sep-14 Sep-15 Sep-16 Jun-17 Mar-18 Mar-19 Sep-19 Sep-20 Sep-21 Sep-22 Jun-23 Mar-26 Mar-28 Mar-32 Mar-35 Mar-41 3.0bp 1.0bp -1.0bp -3.0bp 1M BES² (bp) 1M Roll-Down (bp) 1M Carry & RD (bp) Source: Bloomberg, Sunrise Brokers
Sep-14 Jul-15 Apr-16 Apr-17 Jul-19 Apr-20 Apr-21 Sep-22 Apr-23 Jul-25 Jul-28 Jul-42 Finland, 15-May-13 20 bp 15 bp 10 bp 5 bp 0 bp -5 bp -10 bp -15 bp -20 bp -25 bp -30 bp -35 bp -40 bp -45 bp -50 bp -55 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel. +44-20-7034-9850
Finland, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) RFGB3 1/8 09/15/14 15-Sep-14 1.3 0.031% -38.3-39.8 1.4 2.7-46.3-33.7 0.5 1.4 125 0.7 0.3 RFGB4 1/4 07/04/15 4-Jul-15 2.1 0.074% -35.2-38.0 2.9 4.0-48.1-32.5 0.7 2.3 287 1.1 0.4 RFGB1 3/4 04/15/16 15-Apr-16 2.9 0.169% -32.8-33.8 1.0 3.2-41.9-28.3 0.3 3.0 481 1.3 0.4 RFGB 1 7/8 04/15/17 15-Apr-17 3.9 0.390% -24.7-26.8 2.0 2.4-32.8-22.7 0.9 4.0 858 1.5 0.8 RFGB3 7/8 09/15/17 15-Sep-17 4.3 0.475% -23.4-25.5 2.1 2.1-30.6-21.9 1.0 4.7 1,005 1.6 1.0 RFGB4 3/8 07/04/19 4-Jul-19 6.1 0.838% -17.2-19.5 2.4 2.1-24.0-15.1 1.1 6.7 1,577 1.8 1.2 RFGB3 3/8 04/15/20 15-Apr-20 6.9 1.010% -13.0-13.4 0.4 2.5-19.7-8.6 0.1 7.2 1,845 1.7 1.2 RFGB3 1/2 04/15/21 15-Apr-21 7.9 1.225% -7.0-7.2 0.2 2.3-12.5-1.8 0.1 8.2 2,093 1.7 1.3 RFGB 1 5/8 09/15/22 15-Sep-22 9.3 1.504% -2.6-4.2 1.6 2.0-9.2 0.0 0.8 8.7 2,372 1.5 1.3 RFGB 1 1/2 04/15/23 15-Apr-23 9.9 1.608% -0.7-2.6 1.8 1.8-5.9 0.0 1.0 9.0 2,449 1.4 1.3 RFGB 4 07/04/25 4-Jul-25 12.1 1.853% 5.3 4.2 1.1 2.7-1.8 9.0 0.4 12.2 2,284 0.9 1.5 RFGB 2 3/4 07/04/28 4-Jul-28 15.1 2.130% 6.2 5.0 1.2 3.0-0.8 11.0 0.4 13.4 1,849 0.2 1.3 RFGB 2 5/8 07/04/42 4-Jul-42 29.1 2.431% 9.6 9.7-0.1 3.1 3.5 15.2 0.0 21.2 7,337 2.8 0.9 1M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers
Sep-14 Jul-15 Apr-16 Apr-17 Jul-19 Apr-20 Apr-21 Sep-22 Apr-23 Jul-25 Jul-28 Jul-42 3.0bp 1.0bp -1.0bp -3.0bp 1M BES² (bp) 1M Roll-Down (bp) 1M Carry & RD (bp) Source: Bloomberg, Sunrise Brokers
Jul-14 Jan-15 Oct-15 Apr-16 Oct-16 Jul-17 Apr-18 Oct-18 Oct-19 Apr-20 Oct-20 Oct-21 Oct-22 May-23 Oct-25 Oct-27 Apr-29 Oct-32 Apr-35 Oct-38 Apr-41 May-45 Apr-55 Apr-60 France, 15-May-13 100 bp 90 bp 80 bp 70 bp 60 bp 50 bp 40 bp 30 bp 20 bp 10 bp 0 bp -10 bp -20 bp -30 bp -40 bp -50 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel. +44-20-7034-9850
France, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) BTNS 3 07/12/14 12-Jul-14 1.2 0.062% -40.5-36.3-4.1 4.2-42.0-27.9-1.0 1.2 218 2.2-0.1 BTNS 0 3/4 09/25/14 25-Sep-14 1.4 0.059% -32.8-29.6-3.2 3.5-34.0-22.4-0.9 1.4 263 2.2-0.1 FRTR 4 10/25/14 25-Oct-14 1.4 0.064% -31.6-29.4-2.2 3.2-36.2-22.7-0.7 1.5 278 2.2-0.1 BTNS2 1/2 01/15/15 15-Jan-15 1.7 0.100% -26.9-28.3 1.3 3.4-35.1-23.1 0.4 1.7 354 2.2 0.1 FRTR3 1/2 04/25/15 25-Apr-15 1.9 0.111% -28.6-28.1-0.5 3.4-34.1-21.8-0.1 2.0 414 2.2 0.1 BTNS 2 07/12/15 12-Jul-15 2.2 0.139% -27.3-26.0-1.3 3.6-33.2-19.7-0.4 2.2 472 2.1 0.2 FRTR 3 10/25/15 25-Oct-15 2.4 0.176% -27.1-25.3-1.9 3.6-31.9-18.9-0.5 2.5 549 2.1 0.3 FRTR 0 1/4 11/25/15 25-Nov-15 2.5 0.222% -22.4-24.1 1.7 1.9-29.0-21.4 0.9 2.5 615 2.1 0.4 BTNS2 1/4 02/25/16 25-Feb-16 2.8 0.257% -22.4-21.3-1.1 2.9-27.7-15.9-0.4 2.9 675 2.1 0.5 FRTR3 1/4 04/25/16 25-Apr-16 2.9 0.285% -21.7-19.3-2.4 3.4-26.4-12.7-0.7 3.1 720 2.0 0.6 BTNS 2 1/2 07/25/16 25-Jul-16 3.2 0.357% -17.4-16.0-1.4 3.3-24.0-9.1-0.4 3.3 807 2.0 0.7 FRTR 5 10/25/16 25-Oct-16 3.4 0.390% -18.2-16.4-1.9 3.5-25.6-8.2-0.5 3.8 852 2.0 0.8 BTNS 1 3/4 02/25/17 25-Feb-17 3.8 0.489% -12.6-11.3-1.3 3.4-20.3-2.3-0.4 3.8 1,011 2.0 0.9 FRTR3 3/4 04/25/17 25-Apr-17 3.9 0.512% -12.8-12.0-0.8 3.7-22.0-2.5-0.2 4.2 1,034 1.9 0.9 BTNS 1 07/25/17 25-Jul-17 4.2 0.592% -8.7-8.1-0.6 3.5-17.8 0.9-0.2 4.2 1,151 1.9 1.0 FRTR4 1/4 10/25/17 25-Oct-17 4.4 0.624% -9.3-8.5-0.8 4.3-20.3 2.0-0.2 4.8 1,163 1.9 1.0 FRTR 4 04/25/18 25-Apr-18 4.9 0.703% -9.8-8.0-1.9 5.3-21.3 4.9-0.4 5.3 1,296 1.8 1.1 FRTR 1 05/25/18 25-May-18 5.0 0.764% -5.9-4.8-1.1 4.4-16.5 6.0-0.3 4.9 1,392 1.8 1.1 FRTR4 1/4 10/25/18 25-Oct-18 5.4 0.819% -6.5-4.5-2.0 5.7-18.8 8.3-0.3 5.9 1,416 1.8 1.2 FRTR4 1/4 04/25/19 25-Apr-19 5.9 0.926% -4.2-1.1-3.2 6.9-17.6 13.6-0.5 6.4 1,556 1.7 1.2 FRTR8 1/2 10/25/19 25-Oct-19 6.4 1.003% -1.4 2.1-3.5 8.7-17.6 19.5-0.4 7.9 1,565 1.7 1.4 FRTR3 3/4 10/25/19 25-Oct-19 6.4 1.055% 0.4 3.2-2.7 7.5-13.8 18.4-0.4 6.8 1,688 1.7 1.3 FRTR3 1/2 04/25/20 25-Apr-20 6.9 1.181% 4.7 8.3-3.6 7.6-7.9 22.4-0.5 7.2 1,838 1.6 1.4 FRTR2 1/2 10/25/20 25-Oct-20 7.4 1.311% 8.3 12.5-4.2 7.2-2.7 25.6-0.6 7.4 1,981 1.6 1.4 FRTR3 3/4 04/25/21 25-Apr-21 7.9 1.433% 14.9 20.3-5.4 7.6 4.8 33.4-0.7 8.2 2,077 1.5 1.5 FRTR 3 1/4 10/25/21 25-Oct-21 8.4 1.555% 18.9 25.1-6.2 7.9 10.6 38.9-0.8 8.5 2,189 1.5 1.5 FRTR 3 04/25/22 25-Apr-22 8.9 1.696% 25.0 31.6-6.6 7.4 18.2 44.1-0.9 8.7 2,334 1.4 1.6 FRTR8 1/4 04/25/22 25-Apr-22 8.9 1.577% 24.3 32.0-7.7 8.7 14.1 46.0-0.9 10.9 2,121 1.4 1.6 FRTR 2 1/4 10/25/22 25-Oct-22 9.4 1.817% 27.8 34.9-7.1 6.9 21.6 46.2-1.0 8.8 2,454 1.4 1.6 FRTR8 1/2 04/25/23 25-Apr-23 9.9 1.815% 41.2 51.7-10.4 10.0 33.0 66.9-1.0 12.2 2,305 1.3 1.8 FRTR 1 3/4 05/25/23 25-May-23 10.0 1.937% 29.6 27.0 2.6 2.6 23.3 30.5 1.0 8.9 2,589 1.3 1.6 FRTR4 1/4 10/25/23 25-Oct-23 10.4 1.972% 38.1 46.7-8.6 7.5 31.5 57.9-1.1 10.5 2,505 1.3 1.7 FRTR 6 10/25/25 25-Oct-25 12.4 2.195% 48.7 56.8-8.0 8.2 40.1 68.0-1.0 13.4 2,595 1.1 1.7 FRTR3 1/2 04/25/26 25-Apr-26 12.9 2.304% 42.7 50.1-7.4 7.1 36.2 59.9-1.0 11.9 2,764 1.0 1.6 FRTR 2 3/4 10/25/27 25-Oct-27 14.4 2.454% 41.7 48.9-7.2 6.2 36.8 58.8-1.2 12.3 2,841 0.9 1.5 FRTR5 1/2 04/25/29 25-Apr-29 15.9 2.504% 55.5 64.5-9.0 8.1 48.4 76.3-1.1 16.0 2,715 0.8 1.6 FRTR5 3/4 10/25/32 25-Oct-32 19.4 2.659% 62.9 72.6-9.7 8.4 55.1 85.5-1.2 19.3 2,588 0.5 1.5 FRTR4 3/4 04/25/35 25-Apr-35 21.9 2.812% 67.7 74.4-6.7 6.7 60.4 86.1-1.0 19.4 2,549 0.3 1.4 FRTR 4 10/25/38 25-Oct-38 25.4 2.930% 70.2 77.3-7.1 6.1 63.6 87.8-1.2 19.9 2,383 0.1 1.3 FRTR4 1/2 04/25/41 25-Apr-41 27.9 2.962% 77.2 85.4-8.2 6.8 70.6 97.5-1.2 22.4 2,247 0.0 1.3 FRTR 3 1/4 05/25/45 25-May-45 32.0 3.061% 70.8 75.6-4.8 6.1 65.2 87.6-0.8 20.7 2,139-0.1 1.1 ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers 1M BES² (bp)
Jul-14 Jan-15 Oct-15 Apr-16 Oct-16 Jul-17 Apr-18 Oct-18 Oct-19 Apr-20 Oct-20 Oct-21 Oct-22 May-23 Oct-25 Oct-27 Apr-29 Oct-32 Apr-35 Oct-38 Apr-41 May-45 Apr-55 Apr-60 France, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) FRTR 4 04/25/55 25-Apr-55 41.9 3.132% 80.0 87.4-7.5 5.7 74.2 98.6-1.3 26.5 2,656 0.2 1.1 FRTR 4 04/25/60 25-Apr-60 46.9 3.156% 79.1 86.8-7.7 5.7 73.5 98.2-1.4 28.0 3,582 0.5 1.0 1M BES² (bp) 3.0bp 1.0bp -1.0bp -3.0bp 1M BES² (bp) 1M Roll-Down (bp) 1M Carry & RD (bp) Source: Bloomberg, Sunrise Brokers
Jun-14 Jan-15 Oct-15 Jun-16 Jan-17 Oct-17 Jul-18 Jan-19 Jan-20 Sep-20 Jul-21 Jan-22 Sep-22 Jan-24 Jul-27 Jan-28 Jan-30 Jan-31 Jul-34 Jan-37 Jul-39 Jul-40 Jul-42 Jul-44 Germany, 15-May-13 5 bp 0 bp -5 bp -10 bp -15 bp -20 bp -25 bp -30 bp -35 bp -40 bp -45 bp -50 bp -55 bp -60 bp -65 bp -70 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel. +44-20-7034-9850
Germany, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) BKO 0 06/13/14 13-Jun-14 1.1 0.005% -47.2-46.7-0.5 2.5-51.4-41.9-0.2 1.1 47 0.7-0.2 DBR 4 1/4 07/04/14 4-Jul-14 1.1 0.008% -47.1-45.9-1.2 2.7-51.1-40.3-0.4 1.2 52 0.7-0.2 BKO 0 09/12/14 12-Sep-14 1.3 0.013% -38.3-39.4 1.0 3.0-46.6-33.9 0.3 1.3 78 0.7-0.1 OBL 2 1/2 10/10/14 10-Oct-14 1.4 0.005% -37.9-39.0 1.1 2.8-47.6-34.9 0.4 1.4 79 0.8-0.2 BKO 0 12/12/14 12-Dec-14 1.6 0.011% -33.5-38.4 4.9 3.9-48.0-31.9 1.3 1.6 105 0.8-0.1 DBR 3 3/4 01/04/15 4-Jan-15 1.6 0.005% -36.6-41.6 5.0 3.9-51.9-33.7 1.3 1.7 105 0.8-0.1 OBL 2 1/2 02/27/15 27-Feb-15 1.8 0.003% -37.3-41.9 4.6 4.0-52.1-35.2 1.1 1.8 122 0.9-0.1 BKO 0 1/4 03/13/15 13-Mar-15 1.8 0.014% -35.4-40.2 4.8 4.1-51.3-34.0 1.2 1.8 137 0.9-0.1 OBL 2 1/4 04/10/15 10-Apr-15 1.9 0.002% -38.6-42.9 4.4 4.1-54.2-36.2 1.1 2.0 136 0.9-0.1 DBR 3 1/4 07/04/15 4-Jul-15 2.1 0.012% -40.5-44.8 4.3 3.9-55.9-38.2 1.1 2.2 168 0.9-0.1 OBL 1 3/4 10/09/15 9-Oct-15 2.4 0.027% -41.0-45.8 4.9 4.0-56.5-39.3 1.2 2.5 221 1.0 0.0 DBR 3 1/2 01/04/16 4-Jan-16 2.6 0.056% -41.8-47.0 5.2 4.4-58.2-40.3 1.2 2.8 274 1.0 0.1 OBL 2 02/26/16 26-Feb-16 2.8 0.070% -41.1-47.2 6.1 4.5-58.2-40.0 1.3 2.9 310 1.1 0.1 OBL 2 3/4 04/08/16 8-Apr-16 2.9 0.079% -42.0-47.6 5.5 4.6-58.9-40.7 1.2 3.0 333 1.1 0.1 DBR 6 06/20/16 20-Jun-16 3.1 0.136% -43.1-49.9 6.8 5.6-62.2-40.9 1.2 3.4 384 1.1 0.3 DBR 4 07/04/16 4-Jul-16 3.1 0.119% -41.9-48.6 6.7 4.9-59.8-41.0 1.4 3.4 387 1.1 0.2 OBL 1 1/4 10/14/16 14-Oct-16 3.4 0.144% -41.6-48.2 6.6 5.0-60.7-41.2 1.3 3.5 467 1.2 0.3 DBR 3 3/4 01/04/17 4-Jan-17 3.6 0.178% -43.2-50.9 7.7 5.1-62.8-43.0 1.5 3.9 515 1.2 0.3 OBL 0 3/4 02/24/17 24-Feb-17 3.8 0.209% -40.0-47.1 7.1 5.0-59.8-39.8 1.4 3.8 581 1.2 0.4 OBL 0 1/2 04/07/17 7-Apr-17 3.9 0.241% -38.4-46.7 8.3 5.3-59.8-38.4 1.5 3.9 627 1.2 0.4 DBR 4 1/4 07/04/17 4-Jul-17 4.1 0.258% -43.2-51.7 8.4 5.5-64.3-43.2 1.5 4.5 641 1.3 0.5 OBL 0 1/2 10/13/17 13-Oct-17 4.4 0.320% -39.1-47.6 8.5 5.3-60.5-39.1 1.6 4.4 774 1.3 0.5 DBR 4 01/04/18 4-Jan-18 4.6 0.348% -42.5-51.4 8.9 5.4-63.9-42.5 1.7 5.1 798 1.3 0.6 OBL 0 1/2 02/23/18 23-Feb-18 4.8 0.391% -38.3-46.3 8.0 5.1-58.9-38.3 1.6 4.7 892 1.3 0.6 OBL 0 1/4 04/13/18 13-Apr-18 4.9 0.415% -38.1-39.3 1.3 0.9-40.5-38.1 1.4 4.8 938 1.3 0.6 DBR 4 1/4 07/04/18 4-Jul-18 5.1 0.434% -42.4-51.2 8.8 5.2-63.4-42.4 1.7 5.6 925 1.4 0.7 DBR 3 3/4 01/04/19 4-Jan-19 5.6 0.531% -41.1-50.5 9.4 5.1-62.4-41.1 1.8 6.1 1,091 1.4 0.8 DBR 3 1/2 07/04/19 4-Jul-19 6.1 0.615% -41.3-50.3 9.0 5.2-62.7-41.3 1.8 6.6 1,217 1.4 0.8 DBR 3 1/4 01/04/20 4-Jan-20 6.6 0.714% -39.5-48.3 8.8 5.2-60.9-39.5 1.7 7.1 1,377 1.4 0.9 DBR 3 07/04/20 4-Jul-20 7.1 0.808% -38.3-45.9 7.6 5.0-58.0-38.3 1.5 7.5 1,504 1.4 0.9 DBR 2 1/4 09/04/20 4-Sep-20 7.3 0.853% -36.3-43.9 7.6 4.6-55.5-36.3 1.7 7.4 1,584 1.4 1.0 DBR 2 1/2 01/04/21 4-Jan-21 7.6 0.933% -33.6-41.7 8.1 4.9-53.5-33.6 1.7 7.8 1,683 1.4 1.0 DBR 3 1/4 07/04/21 4-Jul-21 8.1 1.036% -30.9-38.4 7.5 4.6-49.7-30.9 1.6 8.5 1,776 1.4 1.1 DBR 2 1/4 09/04/21 4-Sep-21 8.3 1.076% -29.6-36.9 7.3 4.1-47.3-29.6 1.8 8.3 1,861 1.4 1.1 DBR 2 01/04/22 4-Jan-22 8.6 1.163% -25.9-33.1 7.2 4.0-43.4-25.9 1.8 8.5 1,973 1.4 1.1 DBR 1 3/4 07/04/22 4-Jul-22 9.1 1.268% -22.8-30.1 7.4 3.8-40.0-22.8 1.9 8.8 2,088 1.4 1.2 DBR 1 1/2 09/04/22 4-Sep-22 9.3 1.312% -21.0-28.5 7.5 3.6-38.1-21.0 2.1 8.8 2,152 1.4 1.2 DBR 1 1/2 02/15/23 15-Feb-23 9.8 1.382% -20.2-27.5 7.3 3.6-36.8-20.2 2.0 9.1 2,239 1.4 1.2 DBR 6 1/4 01/04/24 4-Jan-24 10.6 1.416% -23.0-30.2 7.2 4.2-40.5-22.9 1.7 12.5 2,121 1.3 1.3 DBR 6 1/2 07/04/27 4-Jul-27 14.1 1.802% -13.2-21.6 8.4 4.0-30.2-13.2 2.1 16.5 2,245 0.9 1.3 DBR 5 5/8 01/04/28 4-Jan-28 14.6 1.890% -7.9-15.6 7.7 3.8-23.1-7.9 2.0 16.2 2,304 0.8 1.3 ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers 1M BES² (bp)
Jun-14 Jan-15 Oct-15 Jun-16 Jan-17 Oct-17 Jul-18 Jan-19 Jan-20 Sep-20 Jul-21 Jan-22 Sep-22 Jan-24 Jul-27 Jan-28 Jan-30 Jan-31 Jul-34 Jan-37 Jul-39 Jul-40 Jul-42 Jul-44 Germany, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) DBR 4 3/4 07/04/28 4-Jul-28 15.1 1.934% -8.4-15.6 7.2 3.5-22.5-8.4 2.0 15.8 2,295 0.8 1.3 DBR 6 1/4 01/04/30 4-Jan-30 16.6 2.026% -1.9-10.2 8.3 4.0-18.6-1.9 2.1 18.8 2,161 0.6 1.3 DBR 5 1/2 01/04/31 4-Jan-31 17.6 2.091% -0.7-8.2 7.6 3.8-16.4-0.7 2.0 18.9 2,088 0.4 1.3 DBR 4 3/4 07/04/34 4-Jul-34 21.1 2.189% -1.4-8.5 7.1 3.7-16.9-1.2 1.9 21.1 1,687 0.0 1.1 DBR 4 01/04/37 4-Jan-37 23.6 2.243% -1.2-8.1 7.0 3.7-16.1-0.8 1.9 21.7 1,512-0.1 1.0 DBR 4 1/4 07/04/39 4-Jul-39 26.1 2.252% -2.3-9.4 7.1 3.4-16.9-2.3 2.1 24.3 1,590-0.1 1.0 DBR 4 3/4 07/04/40 4-Jul-40 27.1 2.256% -1.6-9.0 7.4 3.7-17.4-1.6 2.0 26.4 1,735 0.0 1.0 DBR 3 1/4 07/04/42 4-Jul-42 29.1 2.269% -4.9-10.2 5.4 2.8-16.9-4.6 1.9 23.9 2,325 0.3 0.9 DBR 2 1/2 07/04/44 4-Jul-44 31.1 2.304% -4.3-8.7 4.5 2.4-14.3-3.7 1.9 22.6 3,466 0.8 0.8 1M BES² (bp) 2.0bp 0.0bp -2.0bp 1M BES² (bp) 1M Roll-Down (bp) 1M Carry & RD (bp) Source: Bloomberg, Sunrise Brokers
Feb-23 Feb-24 Feb-25 Feb-26 Feb-27 Feb-28 Feb-29 Feb-30 Feb-31 Feb-32 Feb-33 Feb-34 Feb-35 Feb-36 Feb-37 Feb-38 Feb-39 Feb-40 Feb-41 Feb-42 Greece, 15-May-13 590 bp 10Y 15Y 30Y 565 bp 540 bp 515 bp 490 bp 465 bp 440 bp 415 bp 390 bp 365 bp 340 bp 315 bp 290 bp 265 bp 240 bp 215 bp 190 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel. +44-20-7034-9850
Greece, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) GGB 2 02/24/23 24-Feb-23 9.8 8.693% 425.2 525.5-100.3 34.9 425.2 592.4-2.9 4.5 7,468 1.9 7.6 GGB 2 02/24/24 24-Feb-24 10.8 9.076% 417.2 502.0-84.8 31.0 417.2 558.1-2.7 4.5 7,318 1.3 7.4 GGB 2 02/24/25 24-Feb-25 11.8 9.154% 396.8 473.9-77.1 31.0 396.8 528.3-2.5 4.5 6,975 0.8 7.0 GGB 2 02/24/26 24-Feb-26 12.8 9.107% 373.4 445.5-72.0 29.4 373.4 497.7-2.5 4.6 6,579 0.3 6.5 GGB 2 02/24/27 24-Feb-27 13.8 9.088% 352.3 421.2-68.9 27.8 352.3 473.0-2.5 4.7 6,243 0.0 6.2 GGB 2 02/24/28 24-Feb-28 14.8 9.121% 338.7 400.7-62.0 26.2 338.7 452.2-2.4 4.7 5,994-0.3 5.9 GGB 2 02/24/29 24-Feb-29 15.8 9.123% 324.1 380.3-56.2 23.5 324.1 427.9-2.4 4.6 5,777-0.5 5.7 GGB 2 02/24/30 24-Feb-30 16.8 9.059% 309.2 363.3-54.1 22.5 309.2 408.4-2.4 4.7 5,567-0.6 5.5 GGB 2 02/24/31 24-Feb-31 17.8 8.985% 295.0 348.0-53.1 21.7 295.0 390.9-2.4 4.7 5,403-0.7 5.2 GGB 2 02/24/32 24-Feb-32 18.8 8.873% 281.2 332.2-51.0 20.5 281.2 372.7-2.5 4.7 5,258-0.7 5.0 GGB 2 02/24/33 24-Feb-33 19.8 8.818% 270.7 318.6-47.8 19.6 270.7 358.7-2.4 4.7 5,197-0.7 4.9 GGB 2 02/24/34 24-Feb-34 20.8 8.678% 258.1 304.6-46.5 19.2 258.1 344.9-2.4 4.8 5,104-0.7 4.6 GGB 2 02/24/35 24-Feb-35 21.8 8.614% 248.9 293.3-44.3 18.8 248.9 332.5-2.4 4.8 5,090-0.6 4.5 GGB 2 02/24/36 24-Feb-36 22.8 8.589% 241.1 282.4-41.3 18.0 241.1 320.1-2.3 4.8 5,117-0.6 4.4 GGB 2 02/24/37 24-Feb-37 23.8 8.498% 232.4 272.1-39.6 17.5 232.4 308.7-2.3 4.8 5,093-0.6 4.3 GGB 2 02/24/38 24-Feb-38 24.8 8.426% 224.7 263.7-39.0 17.3 224.7 299.5-2.3 4.8 5,069-0.5 4.2 GGB 2 02/24/39 24-Feb-39 25.8 8.333% 216.6 254.9-38.3 16.9 216.6 290.6-2.3 4.8 5,000-0.5 4.1 GGB 2 02/24/40 24-Feb-40 26.8 8.272% 210.0 247.2-37.2 16.6 210.0 282.1-2.2 4.8 4,912-0.6 4.0 GGB 2 02/24/41 24-Feb-41 27.8 8.207% 203.5 239.9-36.3 16.2 203.5 273.9-2.2 4.8 4,762-0.6 3.9 GGB 2 02/24/42 24-Feb-42 28.8 8.151% 197.3 233.2-36.0 15.7 197.3 265.4-2.3 4.8 4,547-0.7 3.9 1M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers
Feb-23 Feb-24 Feb-25 Feb-26 Feb-27 Feb-28 Feb-29 Feb-30 Feb-31 Feb-32 Feb-33 Feb-34 Feb-35 Feb-36 Feb-37 Feb-38 Feb-39 Feb-40 Feb-41 Feb-42 9.0bp 7.0bp 5.0bp 3.0bp 1.0bp -1.0bp -3.0bp -5.0bp -7.0bp 10Y 15Y 30Y -9.0bp 1M BES² (bp) 1M Roll-Down (bp) 1M Carry & RD (bp) Source: Bloomberg, Sunrise Brokers
Feb-15 Apr-16 Oct-17 Oct-18 Jun-19 Apr-20 Oct-20 Mar-23 Mar-25 Ireland, 15-May-13 280 bp 265 bp 250 bp 235 bp 220 bp 205 bp 190 bp 175 bp 160 bp 145 bp 130 bp 115 bp 100 bp 85 bp 70 bp 55 bp 40 bp 25 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel. +44-20-7034-9850
Ireland, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) IRISH 4 1/2 02/18/15 18-Feb-15 1.8 0.733% 33.1 52.6-19.5 10.7 31.7 70.2-1.8 1.8 1,069 4.2 2.4 IRISH 4.6 04/18/16 18-Apr-16 2.9 1.373% 89.2 113.2-24.0 13.5 86.8 139.8-1.8 3.0 2,051 4.4 3.2 IRISH 5 1/2 10/18/17 18-Oct-17 4.4 2.169% 153.9 187.3-33.4 17.4 150.6 213.1-1.9 4.5 2,947 3.9 3.9 IRISH 4 1/2 10/18 18-Oct-18 5.4 2.457% 162.5 190.5-28.0 16.7 156.9 214.3-1.7 5.3 3,192 3.2 3.6 IRISH 4.4 06/18/19 18-Jun-19 6.1 2.781% 182.0 211.5-29.5 16.3 179.4 238.0-1.8 5.8 3,328 2.7 3.8 IRISH 5.9 10/18/19 18-Oct-19 6.4 2.951% 204.4 230.4-26.0 17.2 194.9 256.1-1.5 6.4 3,357 2.5 3.9 IRISH 4 1/2 04/20 18-Apr-20 6.9 3.062% 196.3 221.7-25.4 16.3 188.5 246.3-1.6 6.5 3,384 2.1 3.6 IRISH 5 10/18/20 18-Oct-20 7.4 3.165% 202.7 226.8-24.1 16.2 195.0 253.5-1.5 7.0 3,286 1.8 3.7 IRISH 3.9 03/20/23 20-Mar-23 9.8 3.490% 188.6 216.0-27.4 19.7 181.6 246.4-1.4 8.4 3,183 0.9 3.1 IRISH 5.4 03/13/25 13-Mar-25 11.8 3.827% 216.1 244.3-28.2 16.8 209.2 268.0-1.7 10.2 4,509 2.1 3.1 1M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers
Feb-15 Apr-16 Oct-17 Oct-18 Jun-19 Apr-20 Oct-20 Mar-23 Mar-25 7.0bp 5.0bp 3.0bp 1.0bp -1.0bp -3.0bp -5.0bp -7.0bp 1M BES² (bp) 1M Roll-Down (bp) 1M Carry & RD (bp) Source: Bloomberg, Sunrise Brokers
Jun-14 Feb-15 Nov-15 May-16 Feb-17 Nov-17 Jun-18 Feb-19 Sep-19 Sep-20 Aug-21 Mar-22 Sep-22 May-23 Nov-23 Mar-25 Mar-26 Nov-26 Nov-27 Sep-28 Nov-29 May-31 Feb-33 Aug-34 Feb-37 Aug-39 Sep-40 Italy, 15-May-13 390 bp 370 bp 350 bp 330 bp 310 bp 290 bp 270 bp 250 bp 230 bp 210 bp 190 bp 170 bp 150 bp 130 bp 110 bp 90 bp 70 bp 50 bp 30 bp 10 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel. +44-20-7034-9850
Italy, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) BTPS3 1/2 06/01/14 1-Jun-14 1.0 0.878% 36.9 78.8-41.9 31.5 26.9 147.2-1.3 1.0 1,044 5.5 5.8 BTPS 4 1/4 07/01/14 1-Jul-14 1.1 0.927% 44.6 87.3-42.7 31.3 35.2 155.1-1.4 1.1 1,144 5.4 6.1 BTPS4 1/4 08/01/14 1-Aug-14 1.2 1.009% 56.3 97.2-40.9 30.9 44.6 161.3-1.3 1.2 1,243 5.3 6.2 BTPS 6 11/15/14 15-Nov-14 1.5 1.182% 84.8 115.0-30.1 28.4 66.2 173.5-1.1 1.5 1,488 5.1 5.9 BTPS4 1/4 02/01/15 1-Feb-15 1.7 1.322% 96.4 126.1-29.6 26.6 80.4 181.3-1.1 1.7 1,665 4.9 5.9 BTPS 2 1/2 03/01/15 1-Mar-15 1.8 1.392% 101.6 132.2-30.7 28.0 85.4 189.5-1.1 1.8 1,756 4.9 5.8 BTPS 3 04/15/15 15-Apr-15 1.9 1.461% 107.2 141.8-34.5 30.1 90.8 198.8-1.1 1.9 1,847 4.8 5.8 BTPS 3 06/15/15 15-Jun-15 2.1 1.618% 121.4 154.5-33.1 27.9 105.5 206.9-1.2 2.0 2,004 4.6 6.0 BTPS 4 1/2 07/15/15 15-Jul-15 2.2 1.724% 133.6 166.5-32.8 27.8 117.4 218.4-1.2 2.2 2,094 4.6 6.2 BTPS3 3/4 08/01/15 1-Aug-15 2.2 1.751% 135.0 165.6-30.6 26.9 117.5 215.7-1.1 2.2 2,136 4.5 6.2 BTPS 3 11/01/15 1-Nov-15 2.5 1.768% 132.1 161.7-29.6 26.2 115.1 211.9-1.1 2.4 2,227 4.4 5.5 BTPS 2 3/4 12/01/15 1-Dec-15 2.5 1.886% 142.6 170.5-27.8 25.7 125.2 217.2-1.1 2.5 2,316 4.3 5.7 BTPS3 3/4 04/15/16 15-Apr-16 2.9 1.968% 148.9 177.5-28.6 25.7 131.0 221.2-1.1 2.9 2,461 4.0 5.3 BTPS 2 1/4 05/15/16 15-May-16 3.0 2.051% 152.5 155.1-2.7 14.8 134.2 178.5-0.2 2.9 2,559 4.0 5.3 BTPS3 3/4 08/01/16 1-Aug-16 3.2 2.157% 163.8 189.1-25.3 24.4 144.9 232.9-1.0 3.1 2,641 3.8 5.3 BTPS 4 3/4 09/15/16 15-Sep-16 3.3 2.244% 173.7 199.0-25.3 24.7 153.3 243.7-1.0 3.3 2,712 3.8 5.4 BTPS 4 02/01/17 1-Feb-17 3.7 2.431% 184.3 210.0-25.7 23.6 166.8 251.9-1.1 3.6 2,900 3.5 5.3 BTPS 4 3/4 05/01/17 1-May-17 4.0 2.617% 202.7 230.1-27.4 24.1 185.4 271.9-1.1 3.9 3,055 3.4 5.4 BTPS 4 3/4 06/01/17 1-Jun-17 4.0 2.668% 206.2 232.3-26.1 24.1 188.7 274.3-1.1 3.9 3,053 3.3 5.4 BTPS5 1/4 08/01/17 1-Aug-17 4.2 2.664% 205.8 232.9-27.1 24.4 188.0 275.4-1.1 4.1 3,083 3.2 5.3 BTPS 3 1/2 11/01/17 1-Nov-17 4.5 2.742% 200.4 227.0-26.6 23.3 183.9 267.7-1.1 4.2 3,201 3.1 5.0 BTPS4 1/2 02/01/18 1-Feb-18 4.7 2.783% 205.7 233.7-28.0 24.4 187.8 276.0-1.1 4.5 3,205 3.0 4.9 BTPS 3 1/2 06/01/18 1-Jun-18 5.0 2.926% 208.4 225.6-17.2 22.3 192.0 273.5-0.8 4.7 3,332 2.8 4.7 BTPS4 1/2 08/01/18 1-Aug-18 5.2 2.935% 212.3 241.2-28.9 23.7 195.5 282.0-1.2 4.9 3,318 2.7 4.8 BTPS4 1/4 02/01/19 1-Feb-19 5.7 3.070% 215.0 244.8-29.9 23.5 199.5 284.0-1.3 5.3 3,413 2.5 4.6 BTPS4 1/2 03/01/19 1-Mar-19 5.8 3.126% 220.9 249.3-28.4 23.2 205.0 289.5-1.2 5.4 3,448 2.4 4.6 BTPS4 1/4 09/01/19 1-Sep-19 6.3 3.217% 219.3 243.6-24.3 21.7 203.2 281.2-1.1 5.8 3,498 2.2 4.4 BTPS4 1/2 02/01/20 1-Feb-20 6.7 3.364% 228.3 253.3-25.0 21.4 213.4 291.6-1.2 6.1 3,567 2.1 4.4 BTPS4 1/4 03/01/20 1-Mar-20 6.8 3.383% 226.6 249.9-23.3 20.0 212.2 286.0-1.2 6.1 3,586 2.0 4.3 BTPS 4 09/01/20 1-Sep-20 7.3 3.419% 219.3 241.1-21.8 17.7 206.1 275.7-1.2 6.4 3,582 1.8 4.1 BTPS3 3/4 03/01/21 1-Mar-21 7.8 3.476% 214.4 236.3-21.9 17.3 201.7 268.6-1.3 6.7 3,589 1.7 3.9 BTPS3 3/4 08/01/21 1-Aug-21 8.2 3.501% 210.3 229.9-19.6 16.2 197.6 264.9-1.2 7.0 3,565 1.5 3.8 BTPS4 3/4 09/01/21 1-Sep-21 8.3 3.646% 232.0 257.0-25.1 19.9 218.1 291.5-1.3 7.3 3,634 1.5 4.0 BTPS 5 03/01/22 1-Mar-22 8.8 3.775% 239.6 267.4-27.8 21.1 225.8 302.3-1.3 7.7 3,672 1.4 4.0 BTPS 5 1/2 09/01/22 1-Sep-22 9.3 3.936% 253.5 282.7-29.3 21.7 239.8 318.1-1.3 8.1 3,724 1.2 4.0 BTPS 5 1/2 11/01/22 1-Nov-22 9.5 3.962% 253.7 284.0-30.3 22.0 240.3 320.4-1.4 8.2 3,734 1.2 4.0 BTPS 4 1/2 05/01/23 1-May-23 10.0 4.006% 239.1 268.0-28.8 19.7 226.7 301.8-1.5 8.2 3,743 1.1 3.7 BTPS4 3/4 08/01/23 1-Aug-23 10.2 3.980% 236.8 263.6-26.8 19.0 224.4 296.6-1.4 8.5 3,685 1.0 3.7 BTPS 9 11/01/23 1-Nov-23 10.5 4.050% 297.0 334.6-37.6 26.7 281.5 375.3-1.4 10.4 3,640 1.0 4.1 BTPS 5 03/01/25 1-Mar-25 11.8 4.180% 241.3 266.5-25.2 18.2 227.6 294.3-1.4 9.5 3,690 0.8 3.5 BTPS4 1/2 03/01/26 1-Mar-26 12.8 4.188% 225.4 246.5-21.1 16.1 213.0 271.2-1.3 9.9 3,640 0.7 3.3 ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers 1M BES² (bp)
Jun-14 Feb-15 Nov-15 May-16 Feb-17 Nov-17 Jun-18 Feb-19 Sep-19 Sep-20 Aug-21 Mar-22 Sep-22 May-23 Nov-23 Mar-25 Mar-26 Nov-26 Nov-27 Sep-28 Nov-29 May-31 Feb-33 Aug-34 Feb-37 Aug-39 Sep-40 Italy, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) BTPS7 1/4 11/01/26 1-Nov-26 13.5 4.371% 280.8 312.3-31.5 22.6 267.1 344.5-1.4 11.7 3,688 0.6 3.6 BTPS6 1/2 11/01/27 1-Nov-27 14.5 4.468% 271.4 300.8-29.4 21.6 258.1 331.3-1.4 11.8 3,728 0.5 3.4 BTPS 4 3/4 09/01/28 1-Sep-28 15.3 4.466% 235.8 253.0-17.2 13.9 223.3 276.5-1.2 11.0 3,729 0.5 3.1 BTPS5 1/4 11/01/29 1-Nov-29 16.5 4.576% 248.7 270.0-21.3 15.7 235.5 292.6-1.4 11.9 3,782 0.4 3.1 BTPS 6 05/01/31 1-May-31 18.0 4.644% 265.1 290.2-25.0 18.0 250.3 315.0-1.4 13.2 3,808 0.4 3.0 BTPS5 3/4 02/01/33 1-Feb-33 19.7 4.671% 259.1 285.2-26.1 17.4 245.1 308.8-1.5 13.8 3,814 0.4 2.9 BTPS 5 08/01/34 1-Aug-34 21.2 4.703% 243.1 262.3-19.2 13.4 229.7 280.8-1.4 13.5 3,813 0.3 2.7 BTPS 4 02/01/37 1-Feb-37 23.7 4.654% 213.1 230.1-17.0 11.4 201.3 246.7-1.5 13.2 3,600 0.2 2.4 BTPS 5 08/01/39 1-Aug-39 26.2 4.808% 247.0 263.5-16.5 13.4 231.4 281.2-1.2 14.9 3,225-0.2 2.5 BTPS 5 09/01/40 1-Sep-40 27.3 4.838% 248.7 264.9-16.1 13.2 233.2 282.1-1.2 15.2 2,912-0.4 2.4 1M BES² (bp) 11.0bp 9.0bp 7.0bp 5.0bp 3.0bp 1.0bp -1.0bp -3.0bp -5.0bp -7.0bp -9.0bp -11.0bp 1M BES² (bp) 1M Roll-Down (bp) 1M Carry & RD (bp) Source: Bloomberg, Sunrise Brokers
Jul-14 Jan-15 Jul-16 Jan-17 Jan-18 Jul-19 Jul-20 Jul-21 Jul-22 Jan-23 Jan-28 Jan-33 Jan-37 Jan-42 Netherland, 15-May-13 30 bp 25 bp 20 bp 15 bp 10 bp 5 bp 0 bp -5 bp -10 bp -15 bp -20 bp -25 bp -30 bp -35 bp -40 bp -45 bp -50 bp -55 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel. +44-20-7034-9850
Netherland, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) NETHER 3 3/4 07/14 15-Jul-14 1.2 0.027% -44.0-42.1-2.0 3.6-47.2-34.9-0.5 1.2 111 1.2-0.2 NETHER 2 3/4 01/15 15-Jan-15 1.7 0.053% -31.6-33.6 2.0 2.9-42.1-29.3 0.7 1.7 209 1.3 0.0 NETHER 0 3/4 04/15/15 15-Apr-15 1.9 0.076% -30.5-32.0 1.5 2.5-38.0-26.9 0.6 1.9 269 1.4 0.1 NETHER 3 1/4 07/15 15-Jul-15 2.2 0.097% -32.2-32.9 0.7 2.5-40.9-28.7 0.3 2.3 316 1.4 0.2 NETHER 4 07/15/16 15-Jul-16 3.2 0.259% -27.8-26.2-1.6 2.1-31.9-21.9-0.8 3.4 597 1.5 0.6 NETHER 2 1/2 01/15/17 15-Jan-17 3.7 0.379% -22.3-21.1-1.2 2.3-25.2-16.7-0.5 3.8 791 1.6 0.7 NETHER 4 1/2 07/17 15-Jul-17 4.2 0.464% -21.9-20.5-1.4 2.4-26.1-16.2-0.6 4.5 908 1.6 0.9 NETHER 1 1/4 01/15/18 15-Jan-18 4.7 0.597% -16.4-15.7-0.7 2.2-21.4-11.6-0.3 4.7 1,139 1.6 0.9 NETHER 4 07/15/18 15-Jul-18 5.2 0.687% -15.6-14.9-0.7 3.0-22.8-8.3-0.2 5.6 1,232 1.6 1.1 NETHER 4 07/15/19 15-Jul-19 6.2 0.882% -13.0-12.1-0.9 3.6-21.2-5.2-0.2 6.6 1,510 1.6 1.2 NETHER 3 1/2 07/20 15-Jul-20 7.2 1.086% -9.1-7.2-1.9 3.9-15.3-0.5-0.5 7.5 1,782 1.6 1.3 NETHER 3 1/4 07/21 15-Jul-21 8.2 1.300% -3.4-1.2-2.2 4.0-9.3 5.4-0.6 8.4 2,029 1.5 1.4 NETHER 2 1/4 07/15/22 15-Jul-22 9.2 1.511% 1.6 2.8-1.2 3.4-4.4 9.1-0.3 8.8 2,276 1.4 1.4 NETHER 7 1/2 01/23 15-Jan-23 9.7 1.529% 6.7 9.3-2.6 4.9-0.9 18.4-0.5 11.7 2,156 1.4 1.5 NETHER 3 3/4 01/23 15-Jan-23 9.7 1.576% 4.6 6.6-2.0 3.8-1.6 13.5-0.5 9.9 2,291 1.4 1.4 NETHER 1 3/4 07/15/23 15-Jul-23 10.2 1.693% 5.0 5.9-0.9 2.8-0.6 10.6-0.3 9.3 2,468 1.3 1.4 NETHER 5 1/2 01/28 15-Jan-28 14.7 2.099% 16.5 18.2-1.7 3.8 10.4 25.6-0.4 15.6 2,299 0.7 1.4 NETHER 2 1/2 01/15/33 15-Jan-33 19.7 2.364% 11.9 12.3-0.4 3.3 7.0 18.8-0.1 15.8 1,814 0.0 1.2 NETHER 4 01/15/37 15-Jan-37 23.7 2.401% 16.3 16.9-0.6 4.0 9.3 24.4-0.1 21.0 1,610-0.1 1.1 NETHER 3 3/4 01/42 15-Jan-42 28.7 2.432% 14.7 16.1-1.4 3.9 9.0 23.3-0.4 23.9 2,937 0.6 1.0 1M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers
Jul-14 Jan-15 Jul-16 Jan-17 Jan-18 Jul-19 Jul-20 Jul-21 Jul-22 Jan-23 Jan-28 Jan-33 Jan-37 Jan-42 2.0bp 0.0bp -2.0bp 1M BES² (bp) 1M Roll-Down (bp) 1M Carry & RD (bp) Source: Bloomberg, Sunrise Brokers
Jun-14 Oct-15 Oct-16 Oct-17 Jun-18 Jun-19 Jun-20 Apr-21 Oct-23 Apr-37 Portugal, 15-May-13 460 bp 440 bp 420 bp 400 bp 380 bp 360 bp 340 bp 320 bp 300 bp 280 bp 260 bp 240 bp 220 bp 200 bp 180 bp 160 bp 140 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel. +44-20-7034-9850
Portugal, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) PGB 4 3/8 06/16/14 16-Jun-14 1.1 2.054% 149.8 192.3-42.5 19.2 149.3 216.7-2.2 1.1 2,008 7.1 14.3 PGB 3.6 10/15/14 15-Oct-14 1.4 2.345% 190.3 225.8-35.5 18.6 186.2 255.8-1.9 1.4 2,388 6.7 12.2 PGB 3.35 10/15/15 15-Oct-15 2.4 3.120% 259.1 301.5-42.4 19.6 258.4 339.0-2.2 2.3 3,277 5.4 9.7 PGB 6.4 02/15/16 15-Feb-16 2.8 3.383% 297.0 350.1-53.1 22.0 297.0 381.3-2.4 2.7 3,553 5.0 9.7 PGB 4.2 10/15/16 15-Oct-16 3.4 3.668% 304.8 342.0-37.2 18.4 302.0 367.2-2.0 3.2 3,809 4.3 8.4 PGB 4.35 10/16/17 16-Oct-17 4.4 4.048% 326.2 369.2-43.1 20.9 326.2 398.6-2.1 4.0 4,091 3.4 7.4 PGB 4.45 06/15/18 15-Jun-18 5.1 4.300% 338.3 389.3-51.0 24.2 337.8 425.4-2.1 4.5 4,201 2.9 7.0 PGB 4 3/4 06/14/19 14-Jun-19 6.1 4.725% 361.7 408.9-47.3 22.6 361.6 439.5-2.1 5.2 4,392 2.3 6.7 PGB 4.8 06/15/20 15-Jun-20 7.1 4.990% 367.9 412.4-44.6 22.6 365.9 444.3-2.0 5.8 4,465 1.8 6.3 PGB 3.85 04/15/21 15-Apr-21 7.9 5.134% 351.3 394.1-42.8 22.1 351.3 431.8-1.9 6.0 4,534 1.5 5.5 PGB 4.95 10/25/23 25-Oct-23 10.4 5.345% 350.5 391.8-41.4 20.4 350.5 425.4-2.0 7.7 4,446 0.9 4.9 PGB 5.65 02/15/24 15-Feb-24 10.8 5.564% 377.7 381.5-3.9 3.2 377.7 386.0-1.2 8.0 4,602 0.9 5.0 PGB 4.1 04/15/37 15-Apr-37 23.9 5.903% 293.1 309.7-16.6 10.5 291.4 328.3-1.6 10.5 1,572-1.9 3.1 1M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers
Jun-14 Oct-15 Oct-16 Oct-17 Jun-18 Jun-19 Jun-20 Apr-21 Oct-23 Apr-37 21.0bp 18.0bp 15.0bp 12.0bp 9.0bp 6.0bp 3.0bp 0.0bp -3.0bp -6.0bp -9.0bp -12.0bp -15.0bp -18.0bp -21.0bp 1M BES² (bp) 1M Roll-Down (bp) 1M Carry & RD (bp) Source: Bloomberg, Sunrise Brokers
Jul-14 Jan-15 Oct-15 Jul-16 Jan-17 Jan-18 Jul-19 Apr-20 Oct-20 Jan-22 Jan-23 Jan-24 Jul-25 Jul-26 Jan-29 Jul-32 Jan-37 Jul-40 Jul-41 Spain, 15-May-13 365 bp 345 bp 325 bp 305 bp 285 bp 265 bp 245 bp 225 bp 205 bp 185 bp 165 bp 145 bp 125 bp 105 bp 85 bp 65 bp 45 bp 60d Average 60d Min 60d Max Asset Swap Spread Vertical bars show the +/- 2 confidence interval for the last 60 trading sessions Gianluca Ziglio Fixed Income Strategy gianluca.ziglio@sunrisebrokers.com Tel. +44-20-7034-9850
Spain, 15-May-13 Bond Maturity Yrs Yield Last ASW 60d Avg Diff (bp) Std Dev (bp) 60d Min 60d Max Z-Score DV01 Cheap Rich Carry& Roll-Down¹ (1M on EUR 1mm) 1M Roll- Down (bp) SPGB4 3/4 07/30/14 30-Jul-14 1.2 1.217% 76.3 111.1-34.8 29.3 55.4 167.9-1.2 1.2 1,394 5.3 7.8 SPGB 3.3 10/31/14 31-Oct-14 1.5 1.410% 103.1 135.3-32.1 27.4 80.3 190.1-1.2 1.5 1,653 5.1 7.4 SPGB 4.4 01/31/15 31-Jan-15 1.7 1.575% 121.5 149.1-27.6 26.8 95.5 207.6-1.0 1.7 1,870 4.9 7.0 SPGB 2 3/4 03/31/15 31-Mar-15 1.9 1.777% 138.3 165.1-26.7 26.2 112.5 224.2-1.0 1.8 2,086 4.8 7.2 SPGB 3 04/30/15 30-Apr-15 2.0 1.862% 145.7 169.9-24.2 25.2 117.8 224.3-1.0 1.9 2,176 4.8 7.3 SPGB 4 07/30/15 30-Jul-15 2.2 2.056% 165.2 188.9-23.8 25.0 136.4 241.2-1.0 2.2 2,364 4.6 7.4 SPGB 3 3/4 10/31/15 31-Oct-15 2.5 2.182% 175.8 201.2-25.3 26.3 147.0 255.0-1.0 2.4 2,535 4.4 7.0 SPGB 3.15 01/31/16 31-Jan-16 2.7 2.275% 179.2 204.2-25.0 25.8 151.0 256.9-1.0 2.6 2,676 4.2 6.6 SPGB3 1/4 04/30/16 30-Apr-16 3.0 2.392% 188.2 215.0-26.7 25.4 162.0 264.3-1.1 2.9 2,818 4.1 6.3 SPGB 3.3 07/30/16 30-Jul-16 3.2 2.530% 198.9 208.2-9.4 21.7 172.7 242.5-0.4 3.1 2,960 3.9 6.2 SPGB 4 1/4 10/31/16 31-Oct-16 3.5 2.686% 214.3 238.8-24.5 24.3 186.7 284.5-1.0 3.4 3,082 3.7 6.3 SPGB 3.8 01/31/17 31-Jan-17 3.7 2.788% 218.3 240.6-22.3 23.4 193.1 285.9-1.0 3.6 3,206 3.6 6.0 SPGB5 1/2 07/30/17 30-Jul-17 4.2 2.893% 231.3 254.7-23.4 23.9 205.5 301.4-1.0 4.2 3,265 3.3 5.9 SPGB 4 1/2 01/31/18 31-Jan-18 4.7 3.072% 234.7 259.9-25.2 23.8 212.1 307.0-1.1 4.5 3,467 3.0 5.4 SPGB 4.1 07/30/18 30-Jul-18 5.2 3.139% 230.2 254.6-24.4 23.5 206.5 299.8-1.0 4.9 3,506 2.8 5.1 SPGB 4.6 07/30/19 30-Jul-19 6.2 3.473% 248.8 269.1-20.3 21.2 225.8 310.7-1.0 5.7 3,706 2.3 4.9 SPGB 4.3 10/31/19 31-Oct-19 6.5 3.558% 249.7 270.3-20.6 21.1 227.4 310.6-1.0 5.8 3,776 2.2 4.8 SPGB 4 04/30/20 30-Apr-20 7.0 3.706% 251.4 273.7-22.3 21.1 230.7 312.8-1.1 6.1 3,879 2.0 4.6 SPGB 4.85 10/31/20 31-Oct-20 7.5 3.843% 265.4 291.2-25.8 23.0 244.7 331.7-1.1 6.6 3,889 1.8 4.7 SPGB5 1/2 04/30/21 30-Apr-21 8.0 3.924% 272.2 301.4-29.3 24.5 252.2 344.4-1.2 7.2 3,907 1.6 4.5 SPGB 5.85 01/31/22 31-Jan-22 8.7 4.143% 286.7 318.0-31.3 24.6 269.3 357.9-1.3 7.7 3,965 1.4 4.5 SPGB 5.4 01/31/23 31-Jan-23 9.7 4.329% 284.4 312.5-28.0 22.5 267.1 353.3-1.2 8.2 4,000 1.1 4.3 SPGB 4.8 01/31/24 31-Jan-24 10.7 4.476% 275.6 299.5-23.9 21.9 255.0 335.3-1.1 8.5 4,010 0.9 4.0 SPGB 4.65 07/30/25 30-Jul-25 12.2 4.571% 265.7 290.6-24.9 22.3 244.7 325.8-1.1 9.2 3,917 0.7 3.8 SPGB 5.9 07/30/26 30-Jul-26 13.2 4.658% 287.1 312.5-25.5 23.5 263.8 349.4-1.1 10.4 3,874 0.5 3.8 SPGB 6 01/31/29 31-Jan-29 15.7 4.728% 280.8 306.5-25.7 22.4 259.4 341.2-1.1 11.9 3,797 0.3 3.4 SPGB5 3/4 07/30/32 30-Jul-32 19.2 4.823% 273.7 298.8-25.1 20.7 254.7 330.0-1.2 13.3 3,801 0.2 3.1 SPGB 4.2 01/31/37 31-Jan-37 23.7 4.987% 241.8 261.1-19.3 16.0 226.2 284.0-1.2 12.7 3,861 0.2 2.6 SPGB 4.9 07/30/40 30-Jul-40 27.2 4.979% 257.1 278.8-21.7 17.4 241.2 304.0-1.2 14.6 3,451-0.1 2.6 SPGB 4.7 07/30/41 30-Jul-41 28.2 4.982% 251.1 271.8-20.7 16.7 235.7 295.3-1.2 14.5 3,235-0.3 2.5 1M BES² (bp) ¹ On a EUR 1mm cash invested in each security for 1M assuming GC rates. ² Break Even Spread between the bond's forward and spot yields. Source: Bloomberg, Sunrise Brokers
Jul-14 Jan-15 Oct-15 Jul-16 Jan-17 Jan-18 Jul-19 Apr-20 Oct-20 Jan-22 Jan-23 Jan-24 Jul-25 Jul-26 Jan-29 Jul-32 Jan-37 Jul-40 Jul-41 13.0bp 11.0bp 9.0bp 7.0bp 5.0bp 3.0bp 1.0bp -1.0bp -3.0bp -5.0bp -7.0bp -9.0bp -11.0bp -13.0bp 1M BES² (bp) 1M Roll-Down (bp) 1M Carry & RD (bp) Source: Bloomberg, Sunrise Brokers
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